[andrewas]

First, dont worry to much about your character build. Morrowind classes only define what you start as and how you level, any character can attain maximum in any skill or attribute, so if you mess up its not a problem. Much. Only major problems would be to not have a weapon and armour skill to start with. This would be bad. Athletics and Acrobatics should be avoided though, you can't really control how they level up.

Second, dont hurry on the main quest. Just cos Uriel Septim VII, Emperor of Tamriel, wants you to do him a favour dosent mean you have to rush to it. In fact, you can ignore it entirely.

Thirdly, explore everywhere. There are loads of dungeons, mines, caves, towers and ruins around. Most are loaded with loot. Be careful of selling unique stuff though, if someone later sends you on a quest for it, it helps if you at least know who you sold it to.